UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
OMB APPROVAL
OMB Number: 3235-0578
Expires: April 30, 2010
Estimated average burden
hours per response: 10.5
__________
FORM N-Q
__________
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY
| Investment Company Act File Number: | 811-21734 |
| Registrant Name: | PIMCO Global StocksPLUS & Income Fund |
| Address of Principal Executive Offices: | 1345 Avenue of the Americas, |
| New York, NY 10105 | |
| Name and Address of Agent for Service: | Lawrence G. Altadonna |
| 1345 Avenue of the Americas, | |
| New York, NY 10105 | |
| Registrant’s telephone number, including area code: | 212-739-3371 |
| Date of Fiscal Year End: | March 31, 2009 |
| Date of Reporting Period: | December 31, 2008 |
Form N-Q is to be used by management investment companies, other than small business investment companies registered on Form N-5 (§§ 239.24 and 274.5 of this chapter), to file reports with the Commission, not later than 60 days after the close of the first and third fiscal quarters, pursuant to rule 30b1-5 under the Investment Company Act of 1940 (17 CFR 270.30b1 -5). The Commission may use the information provided on Form N-Q in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-Q, and the Commission will make this information public. A registrant is not required to the collection of information contained in Form N-Q unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to the Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.
Item 1. Schedule of Investments
| PIMCO Global StocksPLUS & Income Fund Schedule of Investments | ||||
| December 31, 2008 (unaudited) | ||||
| Principal | ||||
| Amount | Credit Rating | |||
| (000) | (Moody's/S&P) | Value* | ||
| CORPORATE BONDS & NOTES—69.0% | ||||
| Airlines—5.3% | ||||
| $2,500 | American Airlines, Inc., 6.817%, 11/23/12 | B1/BB- | $1,600,000 | |
| 1,377 | Continental Airlines, Inc., 8.048%, 5/1/22 | Baa2/BBB | 1,101,336 | |
| United Air Lines, Inc., | ||||
| 393 | 6.201%, 12/31/49 | Ba2/BBB | 365,298 | |
| 2,378 | 6.636%, 1/2/24 (i) | Ba1/BBB- | 1,407,861 | |
| 4,474,495 | ||||
| Automotive—0.1% | ||||
| 100 | Tenneco Automotive, Inc., 8.625%, 11/15/14 | B3/B | 38,500 | |
| Banking—1.6% | ||||
| 1,500 | UBS AG, 5.875%, 12/20/17 (i) | Aa2/A+ | 1,380,297 | |
| Financial Services—46.5% | ||||
| 4,000 | American Express Credit Corp., 2.049%, 10/4/10, FRN (i) | A1/A | 3,580,180 | |
| American International Group, Inc., (i), | ||||
| 4,500 | 4.613%, 10/18/11, FRN | A3/A- | 3,237,403 | |
| 4,565 | 5.60%, 10/18/16 | A3/A- | 3,067,616 | |
| 500 | Bear Stearns Cos., Inc., 2.359%, 8/15/11, FRN (i) | Aa2/A+ | 449,910 | |
| 2,700 | C10 Capital SPV Ltd., 6.722%, 12/31/16, VRN (f) | NR/BB+ | 1,312,875 | |
| CIT Group, Inc., FRN, | ||||
| 1,000 | 2.219%, 3/12/10, (i) | Baa1/BBB+ | 927,595 | |
| €1,880 | 3.535%, 6/20/13 | Baa1/BBB+ | 1,359,085 | |
| Citigroup, Inc., | ||||
| $1,000 | 2.046%, 3/16/12, FRN | A2/A | 847,240 | |
| 750 | 2.386%, 5/18/10, FRN (i) | A2/A | 693,010 | |
| 2,000 | 8.40%, 4/30/18, VRN (f) | Baa2/BBB | 1,323,080 | |
| General Electric Capital Corp., FRN, | ||||
| 500 | 2.219%, 6/12/12 | Aaa/AAA | 486,959 | |
| €4,600 | 4.625%, 9/15/66 (a)(d) | Aa1/AA+ | 3,599,847 | |
| $2,000 | General Motors Acceptance Corp. LLC, 6.00%, 12/15/11 | C/CC | 1,587,074 | |
| 2,000 | Goldman Sachs Group, Inc., 5.319%, 1/12/15, FRN | A1/A | 1,485,656 | |
| 2,100 | International Lease Finance Corp., 4.95%, 2/1/11 (i) | Baa1/A- | 1,515,845 | |
| 500 | Merrill Lynch & Co., Inc., 3.393%, 11/1/11, FRN (i) | A2/A | 437,588 | |
| Morgan Stanley, | ||||
| 2,000 | 4.62%, 1/9/14, FRN | A2/A | 1,386,498 | |
| 2,000 | 5.75%, 10/18/16 | A2/A | 1,683,058 | |
| 3,575 | National City Bank, 6.25%, 3/15/11 (i) | A1/A- | 3,435,568 | |
| 2,000 | Osiris Capital PLC, 9.753%, 7/15/12, FRN (a)(b)(d) | Ba1/BB+ | 1,970,200 | |
| 1,000 | SLM Corp., 8.45%, 6/15/18 | Baa2/BBB- | 791,797 | |
| 5,000 | Teco Finance, Inc., 6.75%, 5/1/15 (i) | Baa3/BB+ | 4,123,455 | |
| 39,301,539 | ||||
| Healthcare & Hospitals—0.7% | ||||
| 1,000 | HCA, Inc., 6.375%, 1/15/15 | Caa1/B- | 615,000 | |
| Insurance—1.2% | ||||
| 1,000 | Foundation Re II Ltd., 8.899%, 11/26/10, FRN (a)(b)(d) | NR/BB+ | 968,400 | |
| PIMCO Global StocksPLUS & Income Fund Schedule of Investments | ||||
| December 31, 2008 (unaudited) | ||||
| Principal | ||||
| Amount | Credit Rating | |||
| (000) | (Moody's/S&P) | Value* | ||
| Oil & Gas—4.4% | ||||
| $4,000 | Gazprom AG, 9.625%, 3/1/13 | A3/BBB | $3,740,000 | |
| Printing/Publishing—0.1% | ||||
| 500 | RH Donnelley Corp., 8.875%, 1/15/16 | Caa1/B- | 77,500 | |
| Retail—3.0% | ||||
| 2,791 | CVS Lease Pass Through, 5.88%, 1/10/28 (a)(d)(i) | Baa2/BBB+ | 2,543,082 | |
| Tobacco—5.3% | ||||
| 5,000 | Reynolds American, Inc., 7.25%, 6/1/13 | NR/NR | 4,492,105 | |
| Utilities—0.8% | ||||
| 1,000 | Dynegy Holdings, Inc., 8.375%, 5/1/16 | B2/B | 715,000 | |
| Total Corporate Bonds & Notes (cost—$67,032,683) | 58,345,918 | |||
| U.S. GOVERNMENT AGENCY SECURITIES—50.0% | ||||
| Fannie Mae, | ||||
| 1,055 | 5.50%, 11/1/34, MBS | Aaa/AAA | 1,083,618 | |
| 907 | 5.50%, 1/1/35, MBS | Aaa/AAA | 930,799 | |
| 7,378 | 6.00%, 5/25/31, CMO (i) | Aaa/AAA | 7,612,570 | |
| 9 | 6.50%, 6/1/31, MBS | Aaa/AAA | 9,482 | |
| 135 | 6.50%, 9/1/31, MBS (g) | Aaa/AAA | 140,307 | |
| 262 | 6.50%, 11/1/31, MBS (g) | Aaa/AAA | 272,426 | |
| 435 | 6.50%, 7/1/32, MBS | Aaa/AAA | 451,270 | |
| 626 | 6.50%, 9/1/32, MBS | Aaa/AAA | 646,889 | |
| 789 | 6.50%, 2/25/33, CMO (i) | Aaa/AAA | 825,044 | |
| 184 | 6.50%, 10/1/33, MBS (g) | Aaa/AAA | 191,628 | |
| 489 | 6.50%, 12/1/33, MBS | Aaa/AAA | 507,931 | |
| 343 | 6.677%, 11/1/28, FRN, MBS | Aaa/AAA | 366,269 | |
| 872 | 6.95%, 8/25/21, CMO (i) | Aaa/AAA | 930,645 | |
| 672 | 7.00%, 8/25/21, CMO (i) | Aaa/AAA | 719,642 | |
| 834 | 7.00%, 9/25/21, CMO (i) | Aaa/AAA | 893,261 | |
| 179 | 7.00%, 12/25/23, CMO (i) | Aaa/AAA | 199,172 | |
| 228 | 7.00%, 2/1/31, MBS (g) | Aaa/AAA | 239,836 | |
| 175 | 7.00%, 6/25/32, CMO (i) | Aaa/AAA | 184,121 | |
| 57 | 7.00%, 1/25/48, CMO (i) | Aaa/AAA | 60,514 | |
| 121 | 7.50%, 6/1/32, MBS | Aaa/AAA | 126,600 | |
| 22 | 7.50%, 10/1/32, MBS | Aaa/AAA | 22,949 | |
| 1,662 | 7.50%, 2/25/42, CMO, VRN (i) | Aaa/AAA | 1,752,931 | |
| 89 | 7.80%, 6/25/26, ABS, VRN | Aaa/AAA | 66,653 | |
| 3,461 | 8.00%, 8/1/32, MBS (i) | Aaa/AAA | 3,732,141 | |
| 21,966,698 | ||||
| Fannie Mae Whole Loan, | ||||
| 313 | 10.346%, 12/25/42, CMO, VRN (i) | Aaa/AAA | 353,439 | |
| 970 | 13.544%, 8/25/22, CMO, FRN (b)(i) | Aaa/AAA | 1,053,734 | |
| 1,407,173 | ||||
| Freddie Mac, | ||||
| 2,000 | 6.50%, 10/15/23, CMO (i) | Aaa/AAA | 2,085,078 | |
| 692 | 6.50%, 4/15/24, CMO (i) | Aaa/AAA | 726,111 | |
| 2,806 | 6.50%, 8/15/31, CMO (i) | Aaa/AAA | 2,926,780 | |
| 923 | 6.50%, 2/1/34, MBS | Aaa/AAA | 957,399 | |
| 343 | 6.50%, 3/1/34, MBS (g) | Aaa/AAA | 355,978 | |
| 557 | 6.50%, 5/1/34, MBS | Aaa/AAA | 579,609 | |
| 2,830 | 6.50%, 7/1/34, MBS (g) | Aaa/AAA | 2,941,363 | |
| PIMCO Global StocksPLUS & Income Fund Schedule of Investments | ||||
| December 31, 2008 (unaudited) | ||||
| Principal | ||||
| Amount | Credit Rating | |||
| (000) | (Moody's/S&P) | Value* | ||
| Freddie Mac (continued) | ||||
| $151 | 6.50%, 8/1/34, MBS (g) | Aaa/AAA | $156,323 | |
| 359 | 6.50%, 11/1/34, MBS | Aaa/AAA | 372,032 | |
| 1,747 | 6.984%, 7/25/32, CMO, VRN (i) | Aaa/AAA | 1,800,737 | |
| 90 | 7.00%, 12/15/21, CMO (i) | Aaa/AAA | 94,719 | |
| 39 | 7.00%, 8/15/23, CMO (i) | Aaa/AAA | 41,934 | |
| 4,455 | 7.00%, 6/15/31, CMO (i) | Aaa/AAA | 4,694,120 | |
| 924 | 7.50%, 9/15/30, CMO (i) | Aaa/AAA | 1,004,395 | |
| 154 | 8.50%, 5/17/10, MBS | Aaa/AAA | 155,977 | |
| 18,892,555 | ||||
| Total U.S. Government Agency Securities (cost—$41,651,615) | 42,266,426 | |||
| ASSET-BACKED SECURITIES—13.6% | ||||
| 1,729 | Aircraft Certificate Owner Trust, 6.455%, 9/20/22 (a)(d) | Aaa/AAA | 1,874,364 | |
| 963 | Ameriquest Mortgage Securities, Inc., 6.096%, 2/25/33, FRN | Ca/D | 78,119 | |
| 2,302 | Bear Stearns Asset-Backed Securities Trust, 5.291%, 7/25/36, VRN | NR/AAA | 1,020,992 | |
| Bear Stearns Second Lien Trust, FRN (a)(d), | ||||
| 1,500 | 1.271%, 12/25/36 | Ba3/CCC | 79,022 | |
| 21 | 2.971%, 12/25/36 | C/D | 573 | |
| 2,000 | Citibank Omni Master Trust, 1.608%, 12/23/13, FRN (a)(d) | Aaa/AAA | 1,900,666 | |
| Countrywide Home Equity Loan Trust, FRN, | ||||
| 91 | 1.415%, 4/15/30 | Ba1/B | 44,701 | |
| 62 | 1.415%, 1/15/34 | Baa3/BB | 33,970 | |
| 318 | CS First Boston Mortgage Securities Corp., 2.821%, 8/25/32, FRN | Ba3/CCC | 46,503 | |
| 1,322 | Denver Arena Trust, 6.94%, 11/15/19 (a)(d) | NR/NR | 1,344,470 | |
| Green Tree Financial Corp., VRN, | ||||
| 1,043 | 6.53%, 4/1/30 | Ba3/NR | 681,045 | |
| 2,506 | 6.53%, 2/1/31 | NR/B- | 1,450,656 | |
| 2,000 | GSAMP Trust, 0.621%, 10/25/36, FRN (b) | Caa3/CCC | 196,025 | |
| Long Beach Mortgage Loan Trust, FRN, | ||||
| 577 | 1.896%, 3/25/32 | A1/NR | 459,376 | |
| 776 | 2.946%, 3/25/32 | B3/NR | 361,400 | |
| 350 | MASTR Asset-Backed Securities Trust, 0.891%, 3/25/35, FRN | Aa1/AA+ | 333,511 | |
| 2,123 | Oakwood Mortgage Investors, Inc., 6.34%, 4/15/29 | Ba1/NR | 1,480,357 | |
| 2,400 | TABS Ltd., 2.839%, 2/12/47, CDO, FRN (a)(b)(d)(e) | C/CC | 100,345 | |
| 59 | Wachovia Asset Securitization, Inc., 0.901%, 12/25/32, FRN | Baa1/A | 46,078 | |
| Total Asset-Backed Securities (cost—$19,270,719) | 11,532,173 | |||
| MORTGAGE-BACKED SECURITIES—11.3% | ||||
| 1,623 | Charlotte Gateway Village LLC, 6.41%, 12/1/16, CMO (a)(d)(e) | NR/AA+ | 1,364,282 | |
| Countrywide Alternative Loan Trust, CMO, | ||||
| 284 | 6.25%, 9/25/34 | Aaa/AAA | 197,555 | |
| 2,453 | 6.50%, 7/25/35 | Aa2/AAA | 1,289,028 | |
| Countrywide Home Loan Mortgage Pass-Through Trust, CMO, FRN, | ||||
| 367 | 0.931%, 9/25/34 | Aaa/AAA | 110,775 | |
| 204 | 0.971%, 3/25/34 | Aaa/NR | 162,611 | |
| 1,548 | First Horizon Asset Securities, Inc., 6.202%, 2/25/36, CMO, FRN | A1/AAA | 425,696 | |
| Harborview Mortgage Loan Trust, CMO, FRN, | ||||
| 34 | 0.851%, 3/19/35 | Aaa/AAA | 17,626 | |
| 358 | 6.300%, 11/19/34 | Aaa/AAA | 179,813 | |
| ¥113,888 | JLOC 36 LLC, 1.188%, 2/28/16, CMO, FRN (a)(d) | Aaa/AAA | 1,227,453 | |
| $1,632 | JPMorgan Alternative Loan Trust, 7.00%, 12/25/35, CMO | NR/AAA | 1,055,941 | |
| PIMCO Global StocksPLUS & Income Fund Schedule of Investments | ||||
| December 31, 2008 (unaudited) | ||||
| Principal | ||||
| Amount | Credit Rating | |||
| (000) | (Moody's/S&P) | Value* | ||
MORTGAGE-BACKED
SECURITIES (continued) |
||||
| $334 | Multi-Family Capital Access One, Inc., 8.825%, 1/15/24, CMO, VRN | NR/NR | $317,727 | |
| 48 | Nomura Asset Acceptance Corp., 0.861%, 10/25/34, CMO, FRN | Aaa/AAA | 46,912 | |
| 2,816 | Residential Accredit Loans, Inc., 6.00%, 8/25/35, CMO | NR/AAA | 1,918,275 | |
| 534 | Residential Asset Securitization Trust, 0.921%, 2/25/34, CMO, FRN | NR/AAA | 434,300 | |
| 732 | Residential Funding Mortgage Sec. I, 0.871%, 7/25/18, CMO, FRN | NR/AAA | 461,321 | |
| 653 | Structured Adjustable Rate Mortgage Loan Trust, | |||
| 3.453%, 5/25/35, CMO, FRN | Aaa/AAA | 272,564 | ||
| 47 | Washington Mutual, Inc., 3.656%, 8/25/42, CMO, FRN | Aaa/AAA | 33,224 | |
| Total Mortgage-Backed Securities (cost—$14,598,937) | 9,515,103 | |||
| SENIOR LOANS (a)(c)—3.6% | ||||
| Automotive—1.0% | ||||
| 1,960 | Ford Motor Corp., 5.00%, 12/16/13, Term B | 798,700 | ||
| Computer Services—0.4% | ||||
| SunGard Data Systems, Inc., | ||||
| 105 | 3.575%, 2/11/13 (b) | 72,561 | ||
| 379 | 4.138%, 2/11/13 | 261,801 | ||
| 334,362 | ||||
| Entertainment—0.4% | ||||
| Warner Music Group, Inc., Term B, | ||||
| 35 | 2.436%, 2/28/11 | 26,852 | ||
| 33 | 2.471%, 2/28/11 (b) | 25,719 | ||
| 55 | 3.82%, 2/28/11 | 42,136 | ||
| 43 | 3.876%, 2/28/11 (b) | 33,565 | ||
| 35 | 3.89%, 2/28/11 (b) | 26,852 | ||
| 105 | 4.153%, 2/28/11 | 80,556 | ||
| 105 | 4.196%, 2/28/11 (b) | 80,557 | ||
| 69 | 5.541%, 2/28/11 | 52,899 | ||
| 369,136 | ||||
| Financial Services—1.8% | ||||
| 2,962 | Chrysler Financial Corp., 6.00%, 8/3/12 | 1,557,428 | ||
| Total Senior Loans (cost—$5,770,123) | 3,059,626 | |||
| SOVEREIGN DEBT OBLIGATIONS—2.3% | ||||
| Ukraine—2.3% | ||||
| Republic of Ukraine, | ||||
| 2,000 | 6.875%, 3/4/11 | B1/B | 1,060,000 | |
| 2,000 | 7.65%, 6/11/13 | B1/B | 880,000 | |
| Total Sovereign Debt Obligations (cost—$4,167,159) | 1,940,000 | |||
| MUNICIPAL BONDS & NOTES—1.3% | ||||
| West Virginia—1.3% | ||||
| 1,970 | Tobacco Settlement Finance Auth. Rev., | |||
| 7.467%, 6/1/47, Ser. A (cost—$1,852,418) | Baa3/BBB | 1,129,027 | ||
| PIMCO Global StocksPLUS & Income Fund Schedule of Investments | ||||
| December 31, 2008 (unaudited) | ||||
| Credit Rating | ||||
| Shares | (Moody's/S&P) | Value* | ||
| COMMON STOCK—0.1% | ||||
| Insurance—0.1% | ||||
| 27,683 | American International Group, Inc. (cost—$63,117) | $43,462 | ||
| Principal | ||||
| Amount | ||||
| (000) | ||||
| SHORT-TERM INVESTMENTS—41.6% | ||||
| U.S. Treasury Bills (g)—35.6% | ||||
| $30,220 | 0.01%-0.80%,1/2/09-6/11/09 (cost—$30,214,042) | 30,132,840 | ||
| Corporate Notes—4.1% | ||||
| Financial Services—4.1% | ||||
| General Motors Acceptance Corp. LLC, | ||||
| 2,500 | 3.399%, 5/15/09, FRN | C/CC | 2,390,625 | |
| 125 | 4.25%, 3/15/09 | C/CC | 116,852 | |
| 1,000 | Goldman Sachs Group, Inc., 2.229%, 11/16/09, FRN (i) | A1/A | 958,042 | |
| Total Corporate Notes (cost—$3,569,473) | 3,465,519 | |||
| Sovereign Debt Obligations—1.9% | ||||
| Ukraine—1.9% | ||||
| 2,000 | Republic of Ukraine, 6.45%, 8/5/09, FRN (cost—$2,016,194) | B1/B | 1,560,000 | |
| Total Short-Term Investments (cost—$35,799,709) | 35,158,359 | |||
| Contracts/ | ||||
| Notional | ||||
| Amount | ||||
| OPTIONS PURCHASED (h)—0.7% | ||||
| Put Options—0.7% | ||||
| 235,000,000 | 9-Year Interest Rate Swap (OTC), | |||
| Pay 3-Month USD LIBOR Floating Rate Index, | ||||
| strike rate 5.80%, expires 2/23/09 | 940 | |||
| 180 | Financial Future Euro—90 day (CME), | |||
| strike price $89.75, expires 9/14/09 | 1,125 | |||
| 222 | S&P 500 Index (CME), | |||
| strike price $850, expires 1/16/09 | 610,500 | |||
| U. S. Treasury Inflation Index Bonds (OTC), | ||||
| 38,500,000 | strike price $82, expires 3/27/09 | 178 | ||
| 13,000,000 | strike price $87, expires 1/16/09 | - | ||
| Total Options Purchased (cost—$3,877,692) | 612,743 | |||
| Total Investments before options written | ||||
| (cost—$194,084,172)-193.5% | 163,602,837 | |||
| OPTIONS WRITTEN (h)—(2.0)% | ||||
| Call Options—(2.0)% | ||||
| 209 | S&P 500 Index (CME), | |||
| strike price $890, expires 1/16/09 | ||||
| (premiums received—$2,060,266) | (1,708,575) | |||
| Total Investments net of options written | ||||
| (cost—$192,023,906)—191.5% | 161,894,262 | |||
| Other liabilities in excess of other assets—(91.5)% | (77,346,189) | |||
| Net Assets—100.0% | $84,548,073 | |||
Notes to Schedule of Investments:
| * |
Portfolio securities and other financial instruments for which market quotations are readily available are stated at market value. Market value is generally determined on the basis of last reported sales prices, or if no sales are reported, based on quotes obtained from a quotation reporting system, established market makers, or pricing services. |
|
Portfolio securities and other financial instruments for which market quotations are not readily available or if a development/event occurs that may significantly impact the value of a security, are fair-valued, in good faith, pursuant to procedures established by the Board of Trustees or persons acting at their discretion pursuant to procedures established by the Board of Trustees, including certain fixed income securities which may be valued with reference to securities whose prices are more readily available. The Fund’s investments, including over-the-counter options, are valued daily using prices supplied by an independent pricing service or dealer quotations, or by using the last sale price on the exchange that is the primary market for such securities, or the last quoted mean price for those securities for which the over-the-counter market is the primary market or for listed securities in which there were no sales. Prices obtained from independent pricing services use information provided by market makers or estimates of market values obtained from yield data relating to investments or securities with similar characteristics. Exchange traded options and futures are valued at the settlement price determined by the relevant exchange. Short-term securities maturing in 60 days or less are valued at amortized cost, if their original term to maturity was 60 days or less, or by amortizing their value on the 61st day prior to maturity, if the original term to maturity exceeded 60 days. Investments initially valued in currencies other than U.S. dollar are converted to the U.S. dollar using exchange rates obtained from pricing services. As a result, the net asset value ("NAV") of the Fund's shares may be affected by changes in the value currencies in relation to the U.S. dollar. The value of securities traded in markets outside the United States or denominated in currencies other than the U.S. dollar may be affected significantly on a day that the New York Stock Exchange ("NYSE") is closed and the NAV may change on days when an investor is not able to purchase or sell shares. |
|
|
The prices used by the Fund to value securities may differ from the value that would be realized if the securities were sold and these differences could be material. The Fund's NAV is determined daily as of the close of regular trading (normally, 4:00 p.m. Eastern time) on the NYSE on each day the exchange is open for business. |
|
| (a) |
Private Placement—Restricted as to resale and may not have a readily available market. Securities with an aggregate value of $20,032,330, representing 23.69% of net assets. |
| (b) |
Illiquid security. |
| (c) |
These securities generally pay interest at rates which are periodically pre-determined by reference to a base lending rate plus a premium. These base lending rates are generally either the lending rate offered by one or more major European banks, such as the "LIBOR" or the prime rate offered by one or more major United States banks, or the certificate of deposit rate. These securities are generally considered to be restricted as the Fund is ordinarily contractually obligated to receive approval from the Agent bank and/or borrower prior to disposition. Remaining maturities of senior loans may be less than the stated maturities shown as a result of contractual or optional payments by the borrower. Such prepayments cannot be predicted with certainty. The interest rate disclosed reflects the rate in effect on December 31, 2008. |
| (d) |
144A Security—Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, typically only to qualified institutional buyers. Unless otherwise indicated, these securities are not considered to be illiquid. |
| (e) |
Fair-Valued—securities with an aggregate value of $1,464,627, representing 1.73% of net assets. |
| (f) |
Perpetual maturity security. Maturity date shown is the first call date. Interest rate is fixed until the first call date and variable thereafter. |
| (g) |
All or partial amount segregated as collateral for futures contracts and swaps. |
| (h) |
Non-income producing. |
| (i) |
All or partial amount segregated as collateral for reverse repurchase agreement. |
Glossary:
€—Euro
¥—Japanese Yen
ABS—Asset Backed Securities
CDO—Collateralized Debt Obligation
CME—Chicago Mercantile Exchange
CMO—Collateralized
Mortgage Obligation
FRN—Floating Rate Note. The interest rate
disclosed reflects the rate in effect on December 31, 2008.
LIBOR—London Inter-Bank Offered Rate
MBS—Mortgage-Backed Securities
NR—Not Rated
OTC—Over-the-Counter
VRN—Variable Rate Note. Instruments whose interest rates change on specified date (such as a coupon date or interest payment date) and whose interest rates vary with changes in a designated base rate (such as the prime interest rate). The interest rate disclosed reflects the rate in effect on December 31, 2008.
Other Investments:
(1) Futures contracts outstanding at December 31, 2008:
| Market | ||||||||
| Value | Expiration | Unrealized | ||||||
| Type | Contracts | (000) | Date | Appreciation | ||||
| Long: Financial Future Euro—90 day | 90 | $22,218 | 9/14/09 | $444,375 | ||||
| E-mini S&P 500 Index | 458 | 20,612 | 3/20/09 | 563,621 | ||||
| S&P 500 Index | 126 | 28,353 | 3/19/09 | 317,619 | ||||
| $1,325,615 | ||||||||
| The Fund pledged cash collateral of $11,342,000 for futures contracts. | ||||||||
(2) Transactions in options written for the nine months ended December 31, 2008:
| Contracts/Notional | |||
| Amount | Premiums | ||
| Options outstanding, March 31, 2008 |
302 |
$2,879,706 | |
| Options written |
2,610 |
35,237,466 | |
| Options terminated in closing transactions |
(2,703) |
(36,056,906) | |
| Options outstanding, December 31, 2008 |
209 |
$2,060,266 | |
| (3) Credit Default - Buy Protection swap agreements outstanding at December 31, 2008 (1) : | ||||||||||||||
|
Swap Counterparty/ Referenced Debt Issuer |
Notional Amount Payable on Default (000) (4) |
Credit Spread (3)* |
Termination Date |
Payments (Paid) by Fund |
Market Value (5) |
Upfront Premiums Paid |
Unrealized Appreciation |
|||||||
| Barclays Bank: | ||||||||||||||
| UBS | €300 | 2.037% | 12/20/13 | (1.90)% | $2,388 | $— | $1,926 | |||||||
| Bear Stearns: | ||||||||||||||
| Indymac Home Equity Loan | $1,430 | 18.85% | 6/25/30 | (0.45)% | 518,340 | — | 517,661 | |||||||
| Citigroup: | ||||||||||||||
| CIFC | 1,000 | 87.5% |
10/20/20 | (2.15)% | 855,956 | — | 851,537 | |||||||
| Goldman Sachs: | ||||||||||||||
| Goldman Sachs International | 500 | 50.41% | 10/20/20 | (4.50)% | 424,631 | — | 420,005 | |||||||
| Goldman Sachs International | 1,500 | 57.10% | 10/11/21 | (5.00)% | 1,261,655 | — | 1,244,780 | |||||||
| Morgan Stanley: | ||||||||||||||
| ABS Home Equity Index | 1,272 | 94.10% | 6/25/34 | (1.15)% | 1,182,783 | — | 1,181,238 | |||||||
| $4,245,753 | $— | $4,217,147 | ||||||||||||
| (4) Credit Default - Sell Protection swap agreements outstanding at December 31, 2008 (2) : | ||||||||||||||
| Swap Counterparty/ Referenced Debt Issuer |
Notional Amount Payable on Default (000)(4) |
Credit Spread(3)* |
Termination Date |
Payments Received by Fund |
Market Value(5) |
Upfront Premiums Received (Paid) |
Unrealized Appreciation (Depreciation) |
|||||||
| Bank of America: | ||||||||||||||
| ABS Home Equity Index | $2,000 | 30.484% | 8/25/37 | 0.15% | $(1,890,000) | $(1,775,000) | $(114,692) | |||||||
|
Long Beach Mortgage Loan Trust |
738 | 125.25% | 7/25/33 | 4.50% | (668,072) | — | (664,568) | |||||||
| Barclays Bank: | ||||||||||||||
|
Dow Jones CDX HY-8 Index 35-100% |
2,452 | 2.71% | 6/20/12 | 0.787% | (140,201) | — | (139,612) | |||||||
| Federation of Russia | 4,900 | 10.971% | 7/20/11 | 1.65% | (972,694) | — | (935,638) | |||||||
| Citigroup: | ||||||||||||||
|
Dow Jones CDX HY-8 Index 35-100% |
1,471 | 2.71% | 6/20/12 | 0.63% | (90,988) | — | (90,705) | |||||||
| General Electric | 2,100 | 3.708% | 12/20/13 | 4.65% | 81,134 | — | 91,442 | |||||||
| Home Equity Index | 1,000 | 9.727% | 8/25/37 | 0.09% | (605,000) | (477,500) | (127,408) | |||||||
| SLM | 2,000 | 8.265% | 12/20/13 | 5.00% | (219,563) | (315,000) | 106,826 | |||||||
| Credit Suisse First Boston: | ||||||||||||||
| ABS Home Equity Index | 9,000 | 30.484% | 8/25/37 | 0.15% | (8,505,000) | (6,415,000) | (2,088,575) | |||||||
| CS First Boston: | ||||||||||||||
| ABS Home Equity Index | 1,000 | 9.727% | 8/25/37 | 0.09% | (605,000) | (320,000) | (284,907) | |||||||
| Samis | 800 | 5.088% | 3/20/09 | 2.30% | (983) | 2,240 | (2,661) | |||||||
| Deutsche Bank: | ||||||||||||||
| American International Group | 2,000 | 5.255% | 3/20/13 | 2.10% | (224,049) | — | (222,766) | |||||||
| Citigroup | 2,000 | 7.252% | 12/20/13 | 5.00% | (162,357) | (530,000) | 379,032 | |||||||
| General Electric | 1,300 | 3.708% | 12/20/13 | 4.70% | 52,885 | — | 59,165 | |||||||
| SLM | 1,200 | 8.265% | 12/20/13 | 5.00% | (131,738) | (168,000) | 42,596 | |||||||
| Goldman Sachs: | ||||||||||||||
| ABS Home Equity Index | 2,129 | 219.886% | 5/25/46 | 2.42% | (1,837,033) | (147,153) | (1,628,517) | |||||||
| HSBC Bank: | ||||||||||||||
| Ukraine | 5,000 | 36.442% | 4/20/09 | 0.70% | (508,361) | — | (501,166) | |||||||
| Merrill Lynch & Co.: | ||||||||||||||
| ABS Home Equity Index | 1,000 | 10.73% | 5/25/46 | 0.11% | (500,000) | (180,000) | (319,884) | |||||||
| American Express | 1,000 | 2.852% | 12/20/13 | 4.40% | 65,949 | — | 70,593 | |||||||
|
Dow Jones CDX HY-8 Index 35-100% |
2,452 | 2.71% | 6/20/12 | 0.91% | (131,234) | — | (130,552) | |||||||
| SLM | 1,000 | 8.265% | 12/20/13 | 5.00% | (109,781) | (140,000) | 35,496 | |||||||
| Morgan Stanley: | ||||||||||||||
| Biomet | 4,000 | 8.66% | 9/20/12 | 2.95% | (641,333) | — | (637,727) | |||||||
| Indymac Home Equity Loan | 1,430 | 18.85% | 6/25/30 | 1.50% | (488,761) | — | (462,648) | |||||||
| Morgan Stanley Dean Witter | 398 | 192.55% | 8/25/32 | 2.15% | (378,967) | (7,499) | (368,401) | |||||||
| UBS: | ||||||||||||||
| ABS Home Equity Index | 1,272 | 94.10% | 6/25/34 | 1.50% | (1,178,329) | — | (1,174,724) | |||||||
| $(19,789,476) | $(10,472,912) | $(9,110,001) | ||||||||||||
(1) If the Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.
(2) If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.
(3) Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements as of year end serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.
(4) The maximum potential amount the Fund could be required to make as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement.
(5) The quoted market prices and resulting values for credit default swap agreements serve as an indicator of the status at December 31, 2008 of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement been closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.
(5) Interest rate swap agreements outstanding at December 31, 2008:
| Rate Type | Upfront | |||||||||||||
| Notional Amount | Termination | Payments Made | Payments Received | Market | Premiums | Unrealized | ||||||||
| Swap Counterparty | (000) | Date | by Fund | by Fund | Value | Received | Appreciation | |||||||
| Merrill Lynch & Co. | $33,000 | 6/17/16 | 4.00% | 3-Month USD-LIBOR | $(3,214,560) | $(3,504,600) | $290,040 | |||||||
| Royal Bank of Scotland | 421,100 | 2/25/18 | 3-Month USD-LIBOR | 5.80% | 2,227,577 | — | 6,842,886 | |||||||
| $(986,983) | $(3,504,600) | $7,132,926 | ||||||||||||
_____________________________
€—Euro
LIBOR - London Inter-Bank Offered Rate
(6) Total return swap contracts outstanding at December 31, 2008:
| Fund | Fund | Termination | Notional | Unrealized | ||||||
| Swap Counterparty | Receives | Pays | Date | Amount | (Depreciation) | |||||
| Merrill Lynch & Co. | MSCI Daily Total Return | |||||||||
| EAFE | 2.449% | 10/30/09 | $64,024,829 | $(91,194) | ||||||
EAFE - Europe and Australasia,
Far East Equity Index
MSCI - Morgan Stanley Capital International
(7) Forward foreign currency contracts outstanding at December 31, 2008:
| Unrealized | ||||||||
| U.S.$ Value | U.S.$ Value | Appreciation | ||||||
| Counterparty | Origination Date | December 31, 2008 | (Depreciation) | |||||
| Purchased: | ||||||||
| 246,000 Euro settling 1/13/09 | BNP Paribas Bank | $346,874 | $341,829 | $(5,045) | ||||
| 1,405,000 Euro settling 1/13/09 | Deutsche Bank | 1,801,581 | 1,952,315 | 150,734 | ||||
| 1,925,408 Japanese Yen settling 1/8/09 | BNP Paribas Bank | 20,000 | 21,241 | 1,241 | ||||
| Sold: | ||||||||
| 1,171,000 Euro settling 1/13/09 | Morgan Stanley | 1,561,880 | 1,627,161 | (65,281) | ||||
| 4,387,000 Euro settling 1/13/09 | Royal Bank of Scotland | 5,540,957 | 6,095,947 | (554,990) | ||||
| 40,000 British Pound settling 1/13/09 | Morgan Stanley | 60,380 | 57,497 | 2,883 | ||||
| 41,348,000 Japanese Yen settling 1/8/09 | Barclays Bank | 433,963 | 456,156 | (22,193) | ||||
| 41,593,000 Japanese Yen settling 1/8/09 | Citigroup | 437,752 | 458,859 | (21,107) | ||||
| 77,059,000 Japanese Yen settling 1/8/09 | UBS | 808,594 | 850,123 | (41,529) | ||||
| $(555,287) | ||||||||
| The Fund received $6,420,000 principal value in U.S. Treasury Bills and $1,890,000 in cash as collateral for derivative contracts. Cash collateral received may be invested in accordance with the Fund's investment strategy. Collateral received as securities cannot be pledged. | ||||||||
(8) Open reverse repurchase agreements at December 31, 2008:
| Counterparty | Rate | Trade Date | Maturity Date | Principal & Interest | Principal | |||||
| Barclays Bank | 2.00% | 12/19/08 | 1/20/09 | $1,088,846 | $1,088,000 | |||||
| 2.80% | 12/11/08 | 1/13/09 | 24,618,052 | 24,576,000 | ||||||
| Credit Suisse First Boston | 3.50% | 12/3/08 | 1/6/09 | 5,333,511 | 5,318,000 | |||||
| 3.50% | 12/3/08 | 1/8/09 | 15,383,739 | 15,339,000 | ||||||
| JPMorgan | 2.75% | 12/11/08 | 1/13/09 | 3,542,944 | 3,537,000 | |||||
| $49,858,000 | ||||||||||
Collateral for open reverse repurchase agreements at December 31, 2008 as reflected in the Schedule of Investments:
| Market | ||||||||||
| Counterparty | Description | Rate | Maturity Date | Principal | Value | |||||
| Barclays Bank | Fannie Mae | 6.00% | 5/25/31 | $7,377,731 | $7,612,570 | |||||
| Fannie Mae | 6.50% | 2/25/33 | 789,247 | 825,044 | ||||||
| Fannie Mae | 6.95% | 8/25/21 | 872,461 | 930,645 | ||||||
| Fannie Mae | 7.00% | 8/25/21 | 671,866 | 719,642 | ||||||
| Fannie Mae | 7.00% | 9/25/21 | 834,310 | 893,261 | ||||||
| Fannie Mae | 7.00% | 12/25/23 | 179,403 | 199,172 | ||||||
| Fannie Mae | 7.00% | 6/25/32 | 174,723 | 184,121 | ||||||
| Fannie Mae | 7.00% | 1/25/48 | 57,433 | 60,514 | ||||||
| Fannie Mae | 7.50% | 2/25/42 | 1,662,291 | 1,752,931 | ||||||
| Fannie Mae Whole Loan | 10.346% | 12/25/42 | 313,114 | 353,439 | ||||||
| Fannie Mae | 13.544% | 8/25/22 | 970,148 | 1,053,734 | ||||||
| Freddie Mac | 6.50% | 10/15/23 | 2,000,000 | 2,085,078 | ||||||
| Freddie Mac | 6.50% | 4/15/24 | 691,432 | 726,111 | ||||||
| Freddie Mac | 6.50% | 8/15/31 | 2,806,380 | 2,926,780 | ||||||
| Freddie Mac | 6.984% | 7/25/32 | 1,746,687 | 1,800,737 | ||||||
| Freddie Mac | 7.00% | 12/15/21 | 89,521 | 94,719 | ||||||
| Freddie Mac | 7.00% | 8/15/23 | 39,228 | 41,934 | ||||||
| Freddie Mac | 7.00% | 6/15/31 | 4,454,486 | 4,694,120 | ||||||
| Freddie Mac | 7.50% | 9/15/30 | 924,094 | 1,004,395 | ||||||
| UBS AG | 5.875% | 12/20/17 | 1,500,000 | 1,380,297 | ||||||
| Credit Suisse First Boston | American Express Credit Corp. | 2.049% | 10/4/10 | 4,000,000 | 3,580,180 | |||||
| American International Group, Inc. | 4.613% | 10/18/11 | 4,500,000 | 3,237,403 | ||||||
| American International Group, Inc. | 5.60% | 10/18/16 | 4,565,000 | 3,067,616 | ||||||
| Bear Stearns Cos., Inc. | 2.359% | 8/15/11 | 500,000 | 449,910 | ||||||
| CIT Group, Inc. | 2.219% | 3/12/10 | 1,000,000 | 927,595 | ||||||
| Citigroup, Inc. | 2.386% | 5/18/10 | 750,000 | 693,010 | ||||||
| CVS Lease Pass Through | 5.88% | 1/10/28 | 2,790,568 | 2,543,082 | ||||||
| Goldman Sachs Group, Inc. | 2.229% | 11/16/09 | 1,000,000 | 958,042 | ||||||
| International Lease Finance Corp. | 4.95% | 2/1/11 | 2,100,000 | 1,515,845 | ||||||
| Merrill Lynch & Co., Inc. | 3.393% | 11/1/11 | 500,000 | 437,588 | ||||||
| National City Bank | 6.25% | 3/15/11 | 3,575,000 | 3,435,568 | ||||||
| Teco Finance, Inc. | 6.75% | 5/1/15 | 5,000,000 | 4,123,455 | ||||||
| United Air Lines, Inc. | 6.636% | 1/2/24 | 2,378,647 | 1,407,861 | ||||||
| JPMorgan | Fannie Mae | 8.00% | 8/1/32 | 3,460,618 | 3,732,141 | |||||
| $59,448,540 |
The Fund received $300,000 in cash and $825,506
in U.S. government agency securities as collateral for reverse repurchase agreements.
Fair Value Measurements–Effective April 1, 2008, the Fund adopted Financial Accounting Standards Board (“FASB”) Statement of Financial Accounting Standards No. 157, “Fair Value Measurements” (“SFAS 157”). This standard clarifies the definition of fair value for financial reporting, establishes a framework for measuring fair value and requires additional disclosures about the use of the fair value measurements. Under this standard, fair value is defined as the price that would be received to sell an asset or pay to transfer a liability (i.e. the “exit price”) in an orderly transaction between market participant. The three levels of the fair value hierarchy under SFAS 157 are described below:
Level 1 – quoted prices in active markets for identical investments that the Fund has the ability to access
Level 2 – valuation based on other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.) or quotes from inactive exchanges
Level 3 – valuation based on significant unobservable inputs (including the Fund's own assumptions in determining the fair value of investments)
The valuation techniques used by the Fund to measure fair value during the nine months ended December 31, 2008 maximized the use of observable inputs and minimized the use of unobservable inputs. The Fund utilized the following fair value techniques on Level 3 investments: multi-dimensional relational pricing model and option adjusted spread pricing.
The following is a summary of the inputs used at December 31, 2008 in valuing the Fund's investments carried at value:
| Other | |||
| Investments in | Financial | ||
| Valuation Inputs | Securities | Instruments | |
| Level 1 - Quoted Prices | $ (1,054,613) | $ 1,325,615 | |
| Level 2 - Other Significant Observable Inputs | 160,017,614 | (7,762,956) | |
| Level 3 - Significant Unobservable Inputs | 2,931,261 | 9,356,547 | |
| Total | $ 161,894,262 | $ 2,919,206 |
A roll forward of fair value measurements using significant unobservable inputs (Level 3) at December 31, 2008, is as follows:
| Other | |||
| Investments in | Financial | ||
| Securities | Instruments | ||
| Beginning balance, 3/31/08 | $ 10,627,453 | $ (2,919,355) | |
| Net purchases (sales) and settlements | (5,050,218) | 11,403,249 | |
| Accrued discounts (premiums) | (3,530) | — | |
| Total realized gain (loss) | 167,722 | — | |
| Total change in unrealized gain (loss) | (1,789,175) | (3,110,605) | |
| Transfers in and/or out of Level 3 | (1,020,991) | 3,983,258 | |
| Ending balance, 12/31/08 | $ 2,931,261 | $ 9,356,547 |
Item 2. Controls and Procedures
(a) The registrant’s President & Chief Executive Officer and Treasurer, Principal Financial & Accounting Officer have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Act (17 CFR 270.30a -3(c))), are effective based on their evaluation of these controls and procedures as of a date within 90 days of the filing date of this document.
(b) There were no significant changes in the registrant’s internal controls over financial reporting (as defined in Rule 30a-3(d) under the Act (17 CFR 270.30a -3(d))) that occurred during the registrant’s last fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.
Item 3. Exhibits
(a) Exhibit 99.302 Cert. — Certification pursuant to Section 302 of the Sarbanes-Oxley Act of 2002
Signature
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
| (Registrant) PIMCO Global StocksPLUS & Income Fund | |
| By /s/ Brian S. Shlissel | |
| President & Chief Executive Officer | |
| Date: March 2, 2009 | |
| By /s/ Lawrence G. Altadonna | |
| Treasurer, Principal Financial & Accounting Officer | |
| Date: March 2, 2009 | |
| Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated. | |
| By /s/ Brian S. Shlissel | |
| President & Chief Executive Officer | |
| Date: March 2, 2009 | |
| By /s/ Lawrence G. Altadonna | |
| Treasurer, Principal Financial & Accounting Officer | |
| Date: March 2, 2009 | |